Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0491 |
| Annualized Std Dev | 0.2696 |
| Annualized Sharpe (Rf=0%) | 0.1821 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3355.0000 |
| NAs | 1.0000 |
| Minimum | -0.1250 |
| Quartile 1 | -0.0075 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0082 |
| Maximum | 0.1762 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0003 |
| Stdev | 0.0170 |
| Skewness | 0.2821 |
| Kurtosis | 10.1772 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0120 |
| Gain Deviation | 0.0126 |
| Loss Deviation | 0.0127 |
| Downside Deviation (MAR=210%) | 0.0165 |
| Downside Deviation (Rf=0%) | 0.0118 |
| Downside Deviation (0%) | 0.0118 |
| Maximum Drawdown | 0.6114 |
| Historical VaR (95%) | -0.0253 |
| Historical ES (95%) | -0.0401 |
| Modified VaR (95%) | -0.0227 |
| Modified ES (95%) | -0.0227 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-07 | 2008-11-20 | 2015-04-08 | -0.6114 | 1845 | 242 | 1603 |
| 2015-04-28 | 2016-01-20 | 2017-05-09 | -0.3273 | 513 | 185 | 328 |
| 2018-01-29 | 2020-03-19 | 2020-08-25 | -0.3167 | 649 | 539 | 110 |
| 2021-02-18 | 2021-03-08 | NA | -0.0946 | 23 | 13 | NA |
| 2007-11-19 | 2007-11-21 | 2007-11-29 | -0.0692 | 7 | 3 | 4 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1.1 | 0.1 | -0.9 |
| 2008 | 0.1 | -3.5 | 5 | 0.9 | 0.2 | -1.6 | 0.2 | -2.2 | 0.6 | 1.1 | -5.4 | -0.3 | -5.1 |
| 2009 | -0.3 | -0.1 | 1.9 | 1.2 | 3.2 | 2.9 | 0.2 | -0.2 | -2.4 | -3.5 | 2.6 | 0.3 | 5.4 |
| 2010 | 2.4 | 1.4 | 2.6 | -1.7 | -1.4 | -0.1 | -0.2 | 2.8 | 1.2 | 1.7 | 2.6 | 0.5 | 12.3 |
| 2011 | 1.7 | -0.5 | 1.2 | 0.2 | -1.2 | 1.3 | 0 | -0.6 | -4.5 | -0.8 | 0 | -0.3 | -3.6 |
| 2012 | 1.1 | 0.8 | 0.8 | 0.6 | -2.7 | 3.7 | 0 | 1 | 0.8 | 1.3 | 0.4 | 1.4 | 9.4 |
| 2013 | 0.5 | -0.1 | -1 | -1 | -1.5 | -0.1 | 1.2 | 0.5 | 1.5 | 0.6 | 0.4 | 0.7 | 1.6 |
| 2014 | -0.3 | -0.6 | 1.1 | 0.4 | -0.7 | 0.7 | 0.1 | -0.3 | -1.7 | 0.8 | -1.9 | 0.4 | -2 |
| 2015 | -2.1 | -0.3 | 0.5 | 0.7 | -0.4 | 0.3 | -0.2 | -3.2 | 1 | -0.1 | 1.3 | -0.3 | -2.9 |
| 2016 | -0.8 | 2.8 | -0.9 | -1.4 | 0.2 | 1.1 | 0.5 | 0.3 | 0.6 | 0 | -0.3 | -0.2 | 1.8 |
| 2017 | 0.1 | 0.7 | -0.9 | 0.4 | 1.1 | 0.1 | 0.8 | 0.2 | 1.1 | 1.2 | -0.8 | 0.3 | 4.4 |
| 2018 | -1.1 | 0.2 | 2 | -0.2 | 1 | 1.5 | -1 | 0.4 | 0.3 | 3.6 | -0.3 | 0 | 6.4 |
| 2019 | -0.8 | 0.4 | 1.8 | -0.4 | -0.2 | 1.4 | -1.9 | 0.1 | -0.4 | 1.9 | -2.3 | 0.3 | -0.3 |
| 2020 | -2.7 | -0.1 | -3.7 | -3.2 | 2.3 | 1 | -1.1 | 1.5 | 1.2 | -1.8 | 1.4 | 0.1 | -5.3 |
| 2021 | 3.3 | 2.9 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-11-16 49.4 SPY 146. 0.0017 0.0045 -0.0514 0.008 0.0412 0.237 0.607 GLD 77.8 -2.60e-3 -0.0539
2 2007-11-19 46.8 SPY 144. -0.0139 0.0004 -0.0395 -0.0081 0.0241 0.212 0.573 GLD 77.2 -6.60e-3 -0.0135
3 2007-11-20 48.1 SPY 145. 0.0061 -0.0232 -0.0392 -0.0137 0.0301 0.218 0.599 GLD 79.5 2.89e-2 0.0044
4 2007-11-21 46.0 SPY 142. -0.0205 -0.0406 -0.0664 -0.033 0.0084 0.207 0.568 GLD 79.4 -1.40e-3 -0.0115
5 2007-11-26 46.6 SPY 141. -0.0221 -0.0332 -0.0717 -0.0408 0.0002 0.193 0.498 GLD 81.3 6.00e-4 0.0457
6 2007-11-27 47.4 SPY 143. 0.0115 -0.0083 -0.0719 -0.008 0.0158 0.204 0.526 GLD 80.1 -1.48e-2 0.037
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
